本文選題：Agent　切入點：計算經濟學　出處：《華中科技大學》2013年碩士論文

【摘要】：近年來，我國OTC市場發(fā)展迅猛。但是OTC市場具有上市證券具有價格低、流動性差、風險大等特點，單一的競價制度并不足以解決流動性差的問題，而且當有大宗交易發(fā)生時，極易導致競價市場的價格劇烈震動，給交易者帶來很高的風險，在這樣的背景下，我國金融市場是否該引入做市商制度的討論引起了廣泛關注。金融市場中的各種復雜經濟現象是特定市場結構下市場參與主體通過微觀層面的相互作用在宏觀層次的系統涌現，基于Agent建模的計算經濟學為復雜金融系統的研究提供了一個統一、開放的研究方法。 本文根據復雜適應理論和基于Agent建模的計算經濟學原理，通過引入多元做市商報價制度，利用Agent建模技術構建了一個基于多元競爭性做市商的人工金融市場仿真框架，研究這種特定的市場結構下市場的涌現特征。 首先，在對真實市場中做市商、投資者、市場環(huán)境這3大組成部分進行合理抽象的基礎上建立了做市商、投資者決策行為的數學模型和市場環(huán)境的結構。然后在ANYLOGIC仿真軟件上開發(fā)做市商Agent、投資者Agent、市場環(huán)境Agent類，通過定義多種方法模擬各類Agent的行為實現了基于多元競爭性做市商的人工金融市場仿真框架，為了對仿真數據進行統計分析，本模型還開發(fā)了一個將數據導入EXCEL存儲的類。最后，在此仿真框架下，進行了仿真模型合理性檢驗實驗和做市商報價特性研究實驗。 模型合理性驗證實驗結果顯示：日收益率時間序列復現了真實金融市場中典型的尖峰厚尾特征；日收盤成交價緊隨真實價值上下穩(wěn)定波動，符合做市商能平抑股價波動的特點；市場價差小于每個做市商單獨做市時的市場價差，符合多元競爭性做市商能提高市場流動性的特點。上述這些與現實相吻合的特征表明本文所建立的模型是合理的。做市商報價特性研究實驗結果表明：兩個做市商在每個交易日的報價均能收斂于真實報價，其中具有動態(tài)學習能力的做市商的收斂偏差較采用靜態(tài)預測方法的做市商小，，但其收斂速度卻慢一些。做市商報價對真實價值的收斂性證明了本文所設計的做市商報價決策模型是有效的。
[Abstract]:In recent years, China's OTC market is developing rapidly.However, the OTC market has the characteristics of low price, poor liquidity, high risk and so on. A single bidding system is not enough to solve the problem of poor liquidity.It is easy to cause price shock in bidding market and bring high risk to traders. Under this background, the discussion on whether to introduce market maker system into financial market in our country has aroused widespread concern.Various complex economic phenomena in financial markets are the emergence of the market participants at the macro level through the micro level interaction under the specific market structure.Computational economics based on Agent modeling provides a unified and open approach for the study of complex financial systems.According to the theory of complex adaptation and the principle of computational economics based on Agent modeling, this paper constructs an artificial financial market simulation framework based on multiple competitive market makers by introducing multiple market-makers quotation system and using Agent modeling technology.This paper studies the characteristics of market emergence under this particular market structure.Firstly, the mathematical model of market maker and investor's decision behavior and the structure of market environment are established on the basis of reasonable abstraction of market maker, investor and market environment.Then the Agent classes of market maker agent, investor agent and market environment Agent are developed on the ANYLOGIC simulation software. The artificial financial market simulation framework based on multiple competitive market makers is realized by defining a variety of methods to simulate the behavior of all kinds of Agent.In order to analyze the simulation data, a class to import the data into EXCEL storage is developed.Finally, the rationality test experiment of simulation model and the research experiment of market quotation characteristic are carried out under this simulation framework.The results of the model rationality test show that: the time series of daily yield reproduces the typical sharp and thick tail characteristics of real financial market, the daily closing trading price follows the stable fluctuation of real value, which accords with the characteristics of market makers' ability to stabilize the volatility of stock price;The market price difference is smaller than the market price difference when each market maker makes a single market, which accords with the characteristics that multiple competitive market makers can improve market liquidity.These characteristics which are consistent with reality show that the model established in this paper is reasonable.The experimental results show that the price of two market makers can converge to the real price in each trading day, and the convergence deviation of the market maker with dynamic learning ability is smaller than that of the market maker with static forecasting method.But the convergence rate is slower.The convergence of market maker quotation to real value proves that the decision model designed in this paper is effective.
【學位授予單位】：華中科技大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.5;F224

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本文編號：1709510